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Iterative methods for the solution of a singular control formulation of a GMWB pricing problem.
Y. Huang
Peter A. Forsyth
George Labahn
Published in:
Numerische Mathematik (2012)
Keyphrases
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iterative methods
conjugate gradient method
computationally expensive
control system
integer program
control strategy
optimal control
set partitioning
stochastic control
image reconstruction from projections
neural network
artificial intelligence
neuro fuzzy
control policy